This means you're running the application from the disk image. Not the best way to do it. Here's what you must do whenever you download an application that comes in the form of a disk image (.dmg file):
* Open the disk image. A white hard disk like icon will appear on your Desktop, and (often) a Finder window will open.
* If there's an installer inside, run it, if there's "just" an application (an .app file), and this will be the case most of the time, do not run it or drag it from there to your Dock, but drag that file to the /Applications folder (or wherever you want it), it will then copy itself from the disk image onto your hard disk.
* Eject the disk image (i.e. the white "HD" on your Desktop), throw the disk image file (.dmg file) and Empty Trash.
* Then you can run the application (double-click the applications icon (.app) in the /Applications folder, then right/ctrl-click the Dock icon and choose "Keep in Dock", or simply drag it to the dock and start it from there, then it will stay.)